股市互联、尾部风险传染与系统重要性市

发布时间：2018-01-22 23:47

本文关键词： 条件风险价值系统重要性市场多元分位数回归模型风险传染　出处：《国际金融研究》2017年09期 　论文类型：期刊论文

【摘要】：随着我国证券市场日益融入世界金融体系,国际证券市场受到的极端冲击将会显著地传染到我国股票市场,但现有研究并不能有效地识别对A股具有系统重要性的市场。本文基于White et al.(2015)提出的多元分位数回归模型构建适用于分析证券市场的新Co Va R模型框架,并以此测算了中国加入WTO以来9个代表性境外证券市场对我国A股市场的尾部风险传染大小,对比了它们的系统重要性排名。研究发现,中国香港和美国对我国A股市场具有最高的系统重要性,而英国和德国的系统重要性排名最低。近年来,对外开放政策并没有实质提升我国金融市场的国际化水平,国际极端冲击对中国A股市场的风险传染还非常有限,其中,亚太区域因素的影响显著大于国际因素。这些结论对于我国准确监测和识别国外输入型的系统性风险,以及加强与欧洲发达国家跨区域的金融合作(如"沪伦通")提供了直接的经验证据。
[Abstract]:With the increasing integration of China's securities market into the world financial system, the extreme impact of the international securities market will significantly infect our stock market. However, the existing research can not effectively identify the market which is systemically important to A shares. This paper is based on White et al. The proposed multivariate quantile regression model is suitable for the analysis of the securities market. Based on this, this paper calculates the tail risk contagion of 9 representative overseas securities markets in China after China's entry into WTO, and compares their systematical importance rankings. Hong Kong and the United States have the highest systemic importance in China's A-share market, while the UK and Germany have the lowest ranking in recent years. The policy of opening to the outside world has not actually promoted the internationalization level of China's financial market, and the risk contagion of the international extreme impact on China's A-share market is still very limited, among which. The impact of factors in the Asia-Pacific region is significantly greater than that of international factors. These conclusions are of great importance to the accurate monitoring and identification of systemic risks of imported foreign countries in China. And strengthening cross-regional financial cooperation with European developed countries (such as the Shanghai Stock Connect) provides direct empirical evidence.
【作者单位】：复旦大学经济学院;南昌大学经济管理学院;复旦大学金融研究院;
【分类号】：F224;F832.51
【正文快照】： 引言随着经济全球化和国际金融一体化程度的不断提高,中国金融市场越来越融入全球金融体系中,这使得我国证券市场不可避免地受到国外资本市场的系统性冲击。例如,美国次贷危机期间,在我国经济基本面未发生实质性恶化的条件下,上证综合指数暴跌近71%。进入2011年,欧洲债务危机

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